Asymmetric least squares regression estimation: A nonparametric approach∗

DOI10.1080/10485259608832675zbMATH Open0879.62038OpenAlexW2039728298MaRDI QIDQ4345899FDOQ4345899

Authors: Qiwei Yao, Howell Tong 

Publication date: 22 January 1998

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/19423/

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zbMATH Keywords

kernel estimationexpectilelocal linear regression\(\rho\)-mixingasymmetric least squares estimatorprecentile

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Regression Quantiles
• Asymmetric Least Squares Estimation and Testing
• Choosing a kernel regression estimator. With comments and a rejoinder by the authors
• Design-adaptive Nonparametric Regression
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Title not available (Why is that?)
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• On prediction and chaos in stochastic systems

Cited In (51)

• Nonparametric regression under dependent errors with infinite variance
• Dimension reduction techniques for conditional expectiles
• Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
• Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms
• On expectile-assisted inverse regression estimation for sufficient dimension reduction
• An SVM-like approach for expectile regression
• Parametric expectile regression and its application for premium calculation
• Simultaneous confidence bands for expectile functions
• Properties of fuzzy transform obtained from \(L_p\) minimization and a connection with Zadeh's extension principle
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Generalizing Koenker's distribution
• Partially Linear Expectile Regression Using Local Polynomial Fitting
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• Binary quantile regression and variable selection: a new approach
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
• A continuous threshold expectile model
• Nonparametric estimation equations for time series data.
• A discrete density approach to Bayesian quantile and expectile regression with discrete responses
• Scenario aggregation method for portfolio expectile optimization
• Extremile Regression
• The MLE of Aigner, Amemiya, and Poirier is \textit{not} the expectile MLE
• Modelling additive extremile regression by iteratively penalized least asymmetric weighted squares and gradient descent boosting
• A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
• Nonparametric regression expectiles^∗
• Econometric modeling of risk measures: a selective review of the recent literature
• An elastic-net penalized expectile regression with applications
• The \(k\)th power expectile regression
• The \(k\)th power expectile estimation and testing
• Extremiles: A New Perspective on Asymmetric Least Squares
• Cross-validatory bandwidth selections for regression estimation based on dependent data
• Title not available (Why is that?)
• Efficient estimation in expectile regression using envelope models
• Asymmetric Least Squares Estimation and Testing
• Expectile and quantile regression—David and Goliath?
• The second-order asymptotic properties of asymmetric least squares estimation
• Local polynomial expectile regression
• Variable selection in expectile regression
• Nonparametric multiple expectile regression via ER-Boost
• Functional data analysis of generalized regression quantiles
• Spatio-temporal expectile regression models
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Bayesian regularisation in geoadditive expectile regression
• ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
• Expectile regression via deep residual networks
• Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces
• Learning rates for kernel-based expectile regression
• Smooth expectiles for panel data using penalized splines
• A Local Linear Least-Absolute-Deviations Estimator of Volatility
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• NONNORMAL REGRESSION. II. SYMMETRIC DISTRIBUTIONS

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